Credit Risk Valuation
Subtitle: Methods, Models, and Applications
By: by Manuel Ammann
Edition: Second Edition.
Series: Springer Finance; Springer Finance
Publisher: Springer Berlin Heidelberg
Published: 2001
Place of publication: Berlin, Heidelberg
Language: eng
Format: [electronic resource] :
Number of pages: 255
ISBN-13: 9783642087332; 9783662064252
Subjects: Economics; Finance
Description: This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
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Table of contents: title: Introduction; title: Contingent Claim Valuation; title: Credit Risk Models; title: A Firm Value Pricing Model for Derivatives with Counterparty Default Risk; title: A Hybrid Pricing Model for Contingent Claims with Credit Risk; title: Pricing Credit Derivatives; title: Conclusion; title: Useful Tools from Martingale Theory; title: References; title: List of Figures; title: List of Tables; title: Index.